[R-sig-ins] Mack Hypothesis

[Christophe Dutang]

Hello Fabio,

Look at the ChainLadder package of Markus Gesmann, http://cran.r-project.org/web/packages/ChainLadder/index.html. 

Hope you'll find what you search!

Christophe

--
Christophe Dutang
Ph.D. student at ISFA, Lyon, France
website: http://dutangc.free.fr

Le 4 août 2011 à 17:21, Fabio CASTANEDA a écrit :

> Hey everyone,
> 
> This is my first post and I don t really know how am I supposed to ask and
> get/give answers back. I guess I ll just go ahead and spit it out.
> 
> Is there an R code or package that tests for the hypothesis of
> the stochastic version of Chain Ladder (Mack Model) that is :
> 
> 1-  Independence between the charges (Ci,j) and (Ci',j)  in the whole
> triangle
> 2-  Conditional linear relation between  E(Ci,j+1)= L * Ci,j in the whole
> triangle
> 
> There is a sketch of tests in Piterbois et Al.(2002) that i
> have developed in Excel but I would feel much more comfortable in doing it
> with R.
> 
> Thanks,
> 
> Fabio
> 
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